Unconditional Quantile Treatment Effects Under Endogeneity
83 Pages Posted: 3 Nov 2008
Abstract
This paper develops IV estimators for unconditional quantile treatment effects (QTE) when the treatment selection is endogenous. In contrast to conditional QTE, i.e. the effects conditional on a large number of covariates X, the unconditional QTE summarize the effects of a treatment for the entire population. They are usually of most interest in policy evaluations because the results can easily be conveyed and summarized. Last but not least, unconditional QTE can be estimated at n rate without any parametric assumption, which is obviously impossible for conditional QTE (unless all X are discrete). In this paper we extend the identification of unconditional QTE to endogenous treatments. Identification is based on a monotonicity assumption in the treatment choice equation and is achieved without any functional form restriction. Several types of estimators are proposed: regression, propensity score and weighting estimators. Root n consistency, asymptotic normality and attainment of the semiparametric efficiency bound are shown for our weighting estimator, which is extremely simple to implement. We also show that including covariates in the estimation is not only necessary for consistency when the instrumental variable is itself confounded but also for efficiency when the instrument is valid unconditionally. Monte Carlo simulations and two empirical applications illustrate the use of the proposed estimators.
Keywords: nonparametric regression, quantile treatment effects, instrumental variables
JEL Classification: C13, C14, C21
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Trends in U.S. Wage Inequality: Re-Assessing the Revisionists
By David H. Autor, Lawrence F. Katz, ...
-
Trends in U.S. Wage Inequality: Re-Assessing the Revisionists
By David H. Autor, Lawrence F. Katz, ...
-
Skill Biased Technological Change and Rising Wage Inequality: Some Problems and Puzzles
By David Card and John E. Dinardo
-
The Polarization of the U.S. Labor Market
By David H. Autor, Lawrence F. Katz, ...
-
Rising Wage Inequality: The Role of Composition and Prices
By David H. Autor, Lawrence F. Katz, ...
-
Rising Wage Inequality: The Role of Composition and Prices
By David H. Autor, Lawrence F. Katz, ...
-
Changes in the Labor Supply Behavior of Married Women: 1980-2000
By Francine D. Blau and Lawrence M. Kahn
-
Revisiting the German Wage Structure
By Christian Dustmann, Johannes Ludsteck, ...
-
Quantile Regression Under Misspecification, with an Application to the U.S. Wage Structure
By Joshua D. Angrist, Victor Chernozhukov, ...